Please, how to filter pipeline with small pharmaceutical stocks?

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Please, how to filter pipeline with small pharmaceutical stocks?

posted Nov 21, 2018

Seeking Help 101 Alphas Project

Hi,
I found that my algorithm is inversely impacted by small pharmaceutical stocks? I wonder how could I filter out them while pass the contest requirements?

Many thanks.

2 responses

Hey @lifan,

Let's think about this in steps.

First off, you're looking at "pharmaceutical stocks", the NAICS code for Pharmaceutical Preparation Manufacturing is 325412, which you can find here. We want to filter out stocks with that NAICS code, which can be done this way:

naics = Fundamentals.naics.latest  
is_pharm = naics.eq(325412)

You're also looking at "small" pharmaceutical stocks. Let's consider "small" pharmaceutical stocks to be ones with market cap percentile between 0 and 50.

market_cap = MarketCap()  
small_cap = market_cap.percentile_between(0, 50)

In order to get both filters working at the same time, you need something like this:

is_small_cap_pharm = small_cap & is_pharm

At this point, you should have all that you need, just make sure that you pass in is_small_cap_pharm to your screen. You can learn more by looking over the Pipeline Tutorial.

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Thank you~ I will try

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.